Question 1

Which of the following is a difference between the White test and the Breusch-Pagan test?

Accepted Answer

A)  The White test is used for detecting heteroskedasticty in a linear regression model while the Breusch-Pagan test is used for detecting autocorrelation.
B)  The White test is used for detecting autocorrelation in a linear regression model while the Breusch-Pagan test is used for detecting heteroskedasticity..
C)  The number of regressors used in the White test is larger than the number of regressors used in the Breusch-Pagan test.
D)  The number of regressors used in the Breusch-Pagan test is larger than the number of regressors used in the White test.

Question 2

Consider the following regression model: yi=β0+β1 xi+ui.If the first four Gauss-Markov assumptions hold true,and the error term contains heteroskedasticity,then _____.

Accepted Answer

A)  Var(ui|xi) =0
B)  Var(ui|xi) =1
C)  Var(ui|xi) = σi2
D)  Var(ui|xi) =σ

Question 3

The generalized least square estimators for correcting heteroskedasticity are called weighed least squares estimators.

Accepted Answer

A) True 
 B)False

Question 4

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

Accepted Answer

A)  t statistic
B)  F statistic
C)  LM statistic
D)  z statistic B

Question 5

The interpretation of goodness-of-fit measures changes in the presence of heteroskedasticity.

Accepted Answer

A) True 
 B)False

Question 6

A test for heteroskedasticty can be significant if _____.

Accepted Answer

A)  the Breusch-Pagan test results in a large p-value
B)  the White test results in a large p-value
C)  the functional form of the regression model is misspecified
D)  the regression model includes too many independent variables

Question 7

Which of the following is true?

Accepted Answer

A)  In ordinary least squares estimation,each observation is given a different weight.
B)  In weighted least squares estimation,each observation is given an identical weight.
C)  In weighted least squares estimation,less weight is given to observations with a higher error variance.
D)  In ordinary least squares estimation,less weight is given to observations with a lower error variance.

Question 8

Which of the following is true of the White test?

Accepted Answer

A)  The White test is used to detect the presence of multicollinearity in a linear regression model.
B)  The White test cannot detect forms of heteroskedasticity that invalidate the usual Ordinary Least Squares standard errors.
C)  The White test can detect the presence of heteroskedasticty in a linear regression model even if the functional form is misspecified.
D)  The White test assumes that the square of the error term in a regression model is uncorrelated with all the independent variables,their squares and cross products.

Question 9

Which of the following is true of heteroskedasticity?

Accepted Answer

A)  Heteroskedasticty causes inconsistency in the Ordinary Least Squares estimators.
B)  Population R2 is affected by the presence of heteroskedasticty.
C)  The Ordinary Least Square estimators are not the best linear unbiased estimators if heteroskedasticity is present.
D)  It is not possible to obtain F statistics that are robust to heteroskedasticity of an unknown form.

Question 10

The linear probability model contains heteroskedasticity unless _____.

Accepted Answer

A)  the intercept parameter is zero
B)  all the slope parameters are positive
C)  all the slope parameters are zero
D)  the independent variables are binary

Question 11

Which of the following is true of the OLS t statistics?

Accepted Answer

A)  The heteroskedasticity-robust t statistics are justified only if the sample size is large.
B)  The heteroskedasticty-robust t statistics are justified only if the sample size is small.
C)  The usual t statistics do not have exact t distributions if the sample size is large.
D)  In the presence of homoscedasticity,the usual t statistics do not have exact t distributions if the sample size is small.

Question 12

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

Accepted Answer

A)  The model contains homoskedasticty.
B)  The model contains heteroskedasticty.
C)  The model contains dummy variables.
D)  The model omits some important explanatory factors.

Question 13

Consider the following regression equation:  .Which of the following indicates a functional form misspecification in E(y|x) ?

Accepted Answer

A)  Ordinary Least Squares estimates equal Weighted Least Squares estimates.
B)  Ordinary Least Squares estimates exceed Weighted Least Squares estimates by a small magnitude.
C)  Weighted Least Squares estimates exceed Ordinary Least Squares estimates by a small magnitude.
D)  Ordinary Least Square estimates are positive while Weighted Least Squares estimates are negative.

Question 14

Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

Accepted Answer

A) True 
 B)False

Question 15

Weighted least squares estimation is used only when _____.

Accepted Answer

A)  the dependent variable in a regression model is binary
B)  the independent variables in a regression model are correlated
C)  the error term in a regression model has a constant variance
D)  the functional form of the error variances is known

Question 16

If the Breusch-Pagan Test for heteroskedasticity results in a large p-value,the null hypothesis of homoskedasticty is rejected.

Accepted Answer

A) True 
 B)False

Question 17

Which of the following tests helps in the detection of heteroskedasticity?

Accepted Answer

A)  The Breusch-Pagan test
B)  The Breusch-Godfrey test
C)  The Durbin-Watson test
D)  The Chow test A

Question 18

The general form of the t statistic is _____.

Accepted Answer

A)   
B)   
C)   
D)

Question 19

Which of the following tests is used to compare the Ordinary Least Squares (OLS) estimates and the Weighted Least Squares (WLS) estimates?

Accepted Answer

A)  The White test
B)  The Hausman test
C)  The Durbin-Watson test
D)  The Breusch-Godfrey test

Question 20

The linear probability model always contains heteroskedasticity when the dependent variable is a binary variable unless all of the slope parameters are zero.

Accepted Answer

A) True 
 B)False  True

Exam 8: Heteroskedasticity

Which of the following is a difference between the White test and the Breusch-Pagan test?

Correct AnswerverifiedShow Answer

Consider the following regression model: yi=β0+β1 xi+ui.If the first four Gauss-Markov assumptions hold true,and the error term contains heteroskedasticity,then _____.

Correct AnswerverifiedShow Answer

The generalized least square estimators for correcting heteroskedasticity are called weighed least squares estimators.

Correct AnswerverifiedShow Answer

The heteroskedasticity-robust _____ is also called the heteroskedastcity-robust Wald statistic.

Correct AnswerverifiedB

The interpretation of goodness-of-fit measures changes in the presence of heteroskedasticity.

Correct AnswerverifiedShow Answer

A test for heteroskedasticty can be significant if _____.

Correct AnswerverifiedShow Answer

Which of the following is true?

Correct AnswerverifiedShow Answer

Which of the following is true of the White test?

Correct AnswerverifiedShow Answer

Which of the following is true of heteroskedasticity?

Correct AnswerverifiedShow Answer

The linear probability model contains heteroskedasticity unless _____.

Correct AnswerverifiedShow Answer

Which of the following is true of the OLS t statistics?

Correct AnswerverifiedShow Answer

What will you conclude about a regression model if the Breusch-Pagan test results in a small p-value?

Correct AnswerverifiedShow Answer

Consider the following regression equation: .Which of the following indicates a functional form misspecification in E(y|x) ?

Correct AnswerverifiedShow Answer

Multicollinearity among the independent variables in a linear regression model causes the heteroskedasticity-robust standard errors to be large.

Correct AnswerverifiedShow Answer

Weighted least squares estimation is used only when _____.

Correct AnswerverifiedShow Answer

If the Breusch-Pagan Test for heteroskedasticity results in a large p-value,the null hypothesis of homoskedasticty is rejected.

Correct AnswerverifiedShow Answer

Which of the following tests helps in the detection of heteroskedasticity?

Correct AnswerverifiedA

The general form of the t statistic is _____.

Correct AnswerverifiedShow Answer

Which of the following tests is used to compare the Ordinary Least Squares (OLS) estimates and the Weighted Least Squares (WLS) estimates?

Correct AnswerverifiedShow Answer

The linear probability model always contains heteroskedasticity when the dependent variable is a binary variable unless all of the slope parameters are zero.

Correct AnswerverifiedTrue

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Consider the following regression model: y_i=β₀+β₁ x_i+u_i.If the first four Gauss-Markov assumptions hold true,and the error term contains heteroskedasticity,then _____.

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A

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